Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0035 |
| Annualized Std Dev | 0.2005 |
| Annualized Sharpe (Rf=0%) | -0.0175 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4360.0000 |
| NAs | 1.0000 |
| Minimum | -0.1443 |
| Quartile 1 | -0.0033 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.3268 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0126 |
| Skewness | 3.1093 |
| Kurtosis | 128.8692 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0087 |
| Gain Deviation | 0.0114 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.6345 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0279 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.5224 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2008-12-16 | NA | -0.6345 | 3493 | 408 | NA |
| 2004-03-18 | 2004-06-23 | 2005-05-09 | -0.1442 | 288 | 67 | 221 |
| 2006-06-05 | 2006-06-28 | 2006-11-06 | -0.0562 | 109 | 18 | 91 |
| 2005-09-13 | 2005-12-12 | 2006-01-10 | -0.0473 | 83 | 64 | 19 |
| 2006-03-24 | 2006-04-21 | 2006-05-09 | -0.0369 | 32 | 20 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 | 1.2 | 1.5 |
| 2004 | 1.5 | -0.3 | -0.2 | -0.4 | -0.3 | -0.4 | 0.9 | 0.5 | 0.5 | 0.1 | -0.6 | 0.2 | 1.5 |
| 2005 | 0.3 | -0.3 | 0.1 | 1.3 | 0.3 | 0.5 | 0.2 | 0.3 | 0.8 | 0.5 | 0.3 | -0.1 | 4.2 |
| 2006 | 0.2 | 0.3 | -0.2 | 0.4 | 0.4 | 0.4 | 0.4 | 0.2 | -0.3 | -0.1 | -0.4 | -0.4 | 0.8 |
| 2007 | -0.3 | -0.2 | 0.2 | -0.8 | -0.7 | 0.4 | 0.1 | 0 | 0 | 0.5 | -1.7 | 2.8 | 0.2 |
| 2008 | 0.5 | -0.5 | 0.3 | 0 | 0.7 | 0.9 | -0.7 | 0.6 | -5.4 | 1.8 | -5.3 | 7.7 | 0.3 |
| 2009 | -0.9 | -0.7 | -0.2 | 2.6 | 1 | 0.4 | 0.7 | 0.4 | 0.1 | -0.7 | 0.2 | 0.5 | 3.4 |
| 2010 | 1 | 0.6 | 0.4 | -0.1 | 0.7 | 0.4 | 0.5 | -0.1 | 0.2 | -0.5 | 0.4 | 1.9 | 5.4 |
| 2011 | 1 | -0.2 | 0.9 | 0.6 | -0.5 | 0.2 | 1.2 | -0.3 | 0.7 | -0.9 | 0.2 | -0.3 | 2.6 |
| 2012 | 0.2 | -0.1 | 0.6 | 1 | 0.1 | 0.1 | -0.6 | 0.8 | -0.7 | 0.4 | 0.6 | 1 | 3.6 |
| 2013 | 0.7 | 0.1 | 0.2 | -0.2 | -2.1 | 0.3 | -0.9 | 0 | 1 | -0.9 | 0.5 | 0.4 | -0.8 |
| 2014 | 0.5 | -0.4 | -0.2 | 0.5 | -0.8 | -0.2 | 0.4 | 0.2 | 0.2 | -0.2 | 0.4 | -0.2 | 0.1 |
| 2015 | 0.4 | 0.9 | 0 | -0.4 | 0.1 | 0 | -0.2 | 0.6 | 0.8 | 0.7 | 0.4 | 0.3 | 3.4 |
| 2016 | 0.8 | 0 | 0.5 | 0.1 | 0.5 | 0.5 | 0.5 | -0.3 | 0.3 | 0.6 | -0.9 | 0.5 | 3.1 |
| 2017 | -0.1 | -0.2 | -0.1 | 0.1 | 0.1 | -0.1 | -0.1 | 0.1 | 0.5 | 0 | 0.9 | 0 | 1.1 |
| 2018 | 0.2 | -0.5 | 0 | 0.4 | -0.4 | 0.4 | 0.1 | 0 | 0.5 | -0.3 | -0.3 | 1.2 | 1.2 |
| 2019 | 0.4 | -1 | 0.1 | 0.5 | 0.5 | 0.6 | 0 | 0.1 | -0.1 | -0.1 | 0.7 | 0 | 1.7 |
| 2020 | 0.1 | -3.2 | -6.7 | 0.9 | 0.4 | 0.8 | 0.1 | 0.4 | -0.1 | -0.2 | 0.1 | 1.2 | -6.3 |
| 2021 | 0.3 | 0.7 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
